SPHQ vs. FQAL
Compare and contrast key facts about Invesco S&P 500® Quality ETF (SPHQ) and Fidelity Quality Factor ETF (FQAL).
SPHQ and FQAL are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SPHQ is a passively managed fund by Invesco that tracks the performance of the S&P 500 High Quality Rankings Index. It was launched on Dec 6, 2005. FQAL is a passively managed fund by Fidelity that tracks the performance of the Fidelity U.S. Quality Factor Index. It was launched on Sep 12, 2016. Both SPHQ and FQAL are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SPHQ or FQAL.
Performance
SPHQ vs. FQAL - Performance Comparison
Returns By Period
In the year-to-date period, SPHQ achieves a 26.80% return, which is significantly higher than FQAL's 24.35% return.
SPHQ
26.80%
0.94%
11.37%
31.83%
16.07%
13.30%
FQAL
24.35%
1.33%
14.20%
30.15%
14.61%
N/A
Key characteristics
| SPHQ | FQAL | |
|---|---|---|
| Sharpe Ratio | 2.68 | 2.59 |
| Sortino Ratio | 3.71 | 3.54 |
| Omega Ratio | 1.48 | 1.48 |
| Calmar Ratio | 5.21 | 4.28 |
| Martin Ratio | 19.97 | 16.80 |
| Ulcer Index | 1.61% | 1.82% |
| Daily Std Dev | 12.01% | 11.81% |
| Max Drawdown | -57.83% | -33.71% |
| Current Drawdown | -0.90% | -0.84% |
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SPHQ vs. FQAL - Expense Ratio Comparison
SPHQ has a 0.15% expense ratio, which is lower than FQAL's 0.29% expense ratio.
Correlation
The correlation between SPHQ and FQAL is 0.94, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Risk-Adjusted Performance
SPHQ vs. FQAL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500® Quality ETF (SPHQ) and Fidelity Quality Factor ETF (FQAL). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Dividends
SPHQ vs. FQAL - Dividend Comparison
SPHQ's dividend yield for the trailing twelve months is around 1.14%, more than FQAL's 1.07% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SPHQ Invesco S&P 500® Quality ETF | 1.14% | 1.43% | 1.85% | 1.19% | 1.56% | 1.50% | 1.86% | 1.57% | 1.68% | 2.29% | 1.66% | 1.99% |
FQAL Fidelity Quality Factor ETF | 1.07% | 1.35% | 1.52% | 1.17% | 1.46% | 1.55% | 1.73% | 1.53% | 0.43% | 0.00% | 0.00% | 0.00% |
Drawdowns
SPHQ vs. FQAL - Drawdown Comparison
The maximum SPHQ drawdown since its inception was -57.83%, which is greater than FQAL's maximum drawdown of -33.71%. Use the drawdown chart below to compare losses from any high point for SPHQ and FQAL. For additional features, visit the drawdowns tool.
Volatility
SPHQ vs. FQAL - Volatility Comparison
The current volatility for Invesco S&P 500® Quality ETF (SPHQ) is 3.53%, while Fidelity Quality Factor ETF (FQAL) has a volatility of 3.74%. This indicates that SPHQ experiences smaller price fluctuations and is considered to be less risky than FQAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.